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Displaying results 1 to 6 of 6.

  1. Estimating stochastic discount factor models with Hidden regimes
    applications to commodity pricing
    Author: Giampietro, Marta; Guidolin, Massimo; Pedio, Manuela
    Published: [2017]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: June, 2017
    Series: Working paper series / IGIER ; n. 614
    Subjects: Finance; Commodities; Stochastic Discount Factor; Hidden Markov model
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  2. The macroeconomic shock with the highest price of risk
    Author: Pinter, Gabor
    Published: [2016]
    Publisher:  CFM, Centre for Macroeconomics, London

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    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 637
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CFM discussion paper series ; CFM-DP 2016, 23 (August 2016)
    Subjects: Stochastic Discount Factor; Vector Autoregression; Shocks; Technology News; Monetary Policy; Cross-section; Stock Returns; Bond Returns
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  3. Monetary asymmetries without (and with) price stickiness
    Author: Jaccard, Ivan
    Published: [2024]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    The evidence suggests that monetary policy transmission is asymmetric over the business cycle. Interacting financing frictions with a preference for liquidity provides an explanation for this fact. Our mechanism generates monetary asymmetries in a... more

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    Resolving-System (kostenfrei)

    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 534
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    The evidence suggests that monetary policy transmission is asymmetric over the business cycle. Interacting financing frictions with a preference for liquidity provides an explanation for this fact. Our mechanism generates monetary asymmetries in a model that jointly reproduces a set of asset market and business cycle facts. Accounting for the joint dynamics of asset prices and business cycle fluctuations is key; in a variant of the model that is unable to produce realistic macro-finance implications, monetary asymmetries disappear. Our results suggest that asymmetries in the transmission mechanism critically depend on the macro-finance implications of monetary policy models, and that resorting to nonlinear techniques is not sufficient to detect monetary asymmetries.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289966764
    Other identifier:
    hdl: 10419/297368
    Series: Working paper series / European Central Bank ; no 2928
    Subjects: Money Demand; Nonlinear Solution Methods; Asset Pricing in DSGE Models; Term Premium; Stochastic Discount Factor; monetary policy; economic fluctuation; price fluctuation; economic model; fixing of prices; macroeconomics
    Scope: 1 Online-Ressource (circa 83 Seiten), Illustrationen
  4. Default risk and equity returns
    a comparison of the bank-based German and the U.S. financial system
    Author: Breig, Christoph; Elsas, Ralf
    Published: 2009
    Publisher:  Fakultät für Betriebswirtschaft, Ludwig-Maximilians-Universität München, München

    In this paper, we address the question whether the impact of default risk on equity returns depends on the financial system firms operate in. Using an implementation of Merton's option-pricing model for the value of equity to estimate firms' default... more

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 484 (2009,12)
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    In this paper, we address the question whether the impact of default risk on equity returns depends on the financial system firms operate in. Using an implementation of Merton's option-pricing model for the value of equity to estimate firms' default risk, we construct a factor that measures the excess return of firms with low default risk over firms with high default risk. We then compare results from asset pricing tests for the German and the U.S. stock markets. Since Germany is the prime example of a bank-based financial system, where debt is supposedly a major instrument of corporate governance, we expect that a systematic default risk effect on equity returns should be more pronounced for German rather than U.S. firms. Our evidence suggests that a higher firm default risk systematically leads to lower returns in both capital markets. This contradicts some previous results for the U.S. by Vassalou/Xing (2004), but we show that their default risk factor looses its explanatory power if one includes a default risk factor measured as a factor mimicking portfolio. It further turns out that the composition of corporate debt affects equity returns in Germany. Firms' default risk sensitivities are attenuated the more a firm depends on bank debt financing.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/104514
    Series: Array ; 2009-12
    Subjects: Kapitalanlage; Kapitaleinkommen; CAPM; Systemvergleich; Aktienmarkt; USA; Deutschland; Asset pricing; Stochastic Discount Factor; Default Risk
    Scope: Online-Ressource (30 S.)
  5. Evaluating asset pricing models with limited commitment using household consumption data
    Author: Krueger, Dirk; Lustig, Hanno; Perri, Fabrizio
    Published: 2006
    Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Edition: Version September 2006
    Series: Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2006,22
    Subjects: Capital-Asset-Pricing-Modell; Vertrag; Entscheidung bei Risiko; Risikoaversion; Verbrauch; Theorie; USA; Privater Verbrauch; Asset-Backed Security
    Other subjects: (stw)CAPM; (stw)Vertrag; (stw)Entscheidung unter Risiko; (stw)Risikoaversion; (stw)Konsum; (stw)Theorie; Limited Commitment; Equity Premium; Stochastic Discount Factor; Household Consumption Data; Arbeitspapier; Graue Literatur
    Scope: Online-Ressource
  6. A corporate financing-based asset pricing model
    Author: Steri, Roberto
    Published: June 16, 2018
    Publisher:  Swiss Finance Institute, Geneva

    I show that an asset pricing model for the equity claims of a value-maximizing firm can be constructed from its optimal financial contracting behavior. I study a dynamic contracting model in which firms trade off the costs and benefits of a given... more

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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Speicherung
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    I show that an asset pricing model for the equity claims of a value-maximizing firm can be constructed from its optimal financial contracting behavior. I study a dynamic contracting model in which firms trade off the costs and benefits of a given promise to pay external lenders in a specific economic state. Deals between firms and financiers reveal the importance of that state for firm's equity value, namely the stochastic discount factor the firm responds to. I empirically evaluate the model in the cross section of expected equity returns. I find that the financial contracting approach goes a long way in rationalizing observed cross-sectional differences in average returns, also in comparison to leading asset pricing models. In addition, the model discloses that two easily measured variables, the growth rates on net worth and profitability, generate sizeable cross-sectional spreads in returns. Finally, a calibrated version of the model is broadly consistent with observed corporate policies of US listed firms

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Research paper series / Swiss Finance Institute ; no 18, 46
    Swiss Finance Institute Research Paper ; No. 18-46
    Other subjects: Array
    Scope: 1 Online-Ressource (circa 75 Seiten), Illustrationen